The magnetic penetration depth anisotropy $gamma_lambda=lambda_{c}/lambda_{ab}$ ($lambda_{ab}$ and $lambda_{c}$ are the in-plane and the out-of-plane components of the magnetic penetration depth) in a CaKFe$_4$As$_4$ single crystal sample (the critical temperature $T_{rm c}simeq 35$ K) was studied by means of muon-spin rotation ($mu$SR). $gamma_lambda$ is almost temperature independent for $Tlesssim 20$ K ($gamma_lambdasimeq 1.9$) and it reaches $simeq 3.0$ by approaching $T_{rm c}$. The change of $gamma_lambda$ induces the corresponding rearrangement of the flux line lattice (FLL), which is clearly detected via enhanced distortions of the FLL $mu$SR response. Comparison of $gamma_lambda$ with the anisotropy of the upper critical field ($gamma_{H_{rm c2}}$) studied in Phys. Rev B {bf 94}, 064501 (2016), reveals that $gamma_lambda$ is systematically higher than $gamma_{H_{rm c2}}$ at low-temperatures and approaches $gamma_{H_{rm c2}}$ for $T rightarrow T_{rm c}$. The anisotropic properties of $lambda$ are explained by the multi-gap nature of superconductivity in CaKFe$_4$As$_4$ and are caused by anisotropic contributions of various bands to the in-plane and the out-of-plane components of the superfluid density.
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