  We report synthesis, crystal structure and physical properties of a novel
quinary compound RbGd$_2$Fe$_4$As$_4$O$_2$. The new iron oxyarsenide is
isostructural to the fluo-arsenide KCa$_2$Fe$_4$As$_4$F$_2$, both of which
contain separate double Fe$_2$As$_2$ layers that are self hole-doped in the
stoichiometric composition. Bulk superconductivity at $T_\mathrm{c}$ = 35 K is
demonstrated by the measurements of electrical resistivity, dc magnetic
susceptibility and heat capacity. An exceptionally high value of the initial
slope of the upper critical field
($\mu_0$d$H_{\mathrm{c2}}$/d$T|_{T_\mathrm{c}}$ = 16.5 T/K) is measured for the
polycrystalline sample.
