2

At maturity T, a number of shares is allocated to the investor that equals the division:
N / (Strike Price of the Laggard underlying)
where
N is the note's notional
and
Strike Price of the Laggard underlying = K S⁰
where
K is the stipulated strike in percentage terms, eg K = 90%
S⁰ is the reference price of the laggard underlying.
Note, the note's contract defines fixed reference prices S⁰₁ , S⁰₂ , ... , S⁰ₙ for all the referenced underlyings.

So, formally the investor receives N/(K S⁰) shares of the laggard underlying.

It can be proved that the value to the investor at time T of this transaction equals (N/K) P
where P is the performance at T of the laggard underlying, i.e. P = S/S⁰
where S is the price of the laggard underlying at T.
Proof
The investor receives at T N/(K S⁰) shares of the laggard stock.
Since each of these shares has a value at T that equals S, it follows that N/(K S⁰) shares have a total value of N/(K S⁰) S
The last expression can be writen as (N/K) (S/S⁰)
But the fraction S/S⁰ equals the performance P, and therefore the total value becomes:
(N/K) P