Create a rounded rectangle using rounded rectangle shape tool.



Enable "subtract from shape area" at the top bar. Create another rounded rectangle using rounded rectangle shape tool.



Press Ctrl+T. Right Click and select Warp. Select "Bulge" style from the preset warp shapes. Apply settings as shown.





Select the path using path selection tool. Duplicate and rotate it 90°.



Select inner small rectangles and enable add to shape area from the options bar at top.



Create an ellipse using elliptical shape tool. Select convert point tool and click on the right most node.



Duplicate the elliptical path and hide the layer. Select rectangle layer and Press Ctrl+V to paste the path. Rotate and place as shown in the image below. Enable exclude overlapping shape area from the top bar.



Duplicate the elliptical path thrice. Rotate and place as shown in the image below.



Duplicate all the path using path selection tool. Press Ctrl+T, rotate 45°.



Repeat the above steps. This time rotate only a few pixels.



Select all the path using path selection tool. Click "Combine" button from the top bar.  



Right click the shape and select "define custom shape".



Create a new file select the shape from the custom shapes and create it without repeating all these steps. Now, doesn't that just look beautiful!