Transport, magnetic and optical investigations on EuRbFe$_4$As$_4$ single crystals evidence that the ferromagnetic ordering of the Eu$^{2+}$ magnetic moments at $T_N=15$ K, below the superconducting transition ($T_c=36$ K), affects superconductivity in a weak but intriguing way. Upon cooling below $T_N$, the zero resistance state is preserved and the superconductivity is affected by the in-plane ferromagnetism mainly at domain boundaries; a perfect diamagnetism is recovered at low temperatures. The infrared conductivity is strongly suppressed in the far-infrared region below $T_c$, associated with the opening of a complete superconducting gap at $2Delta = 10$ meV. A gap smaller than the weak coupling limit suggests the strong orbital effects or, within a multiband superconductivity scenario, the existence of a larger yet unrevealed gap.
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