  We report $^{75}$As Nuclear Magnetic Resonance data in a single crystal of
CaFe$_2$As$_2$. The Knight shift, electric field gradient, and spin-lattice
relaxation rate are strongly temperature dependent in the paramagnetic state,
and change discontinuously at the structural transition temperature,
$T_S=T_N=167$ K. Immediately below, the NMR spectra reveal an internal field at
the As site associated with the presence of a commensurate magnetic order.
These results indicate that the structural and magnetic transitions in
CaFe$_2$As$_2$ are first order and strongly coupled, and that the electron
density in the FeAs plane is highly sensitive to the out-of-plane structure.
