The vertical structure and the emission spectrum of slim accretion discs around massive black holes are investigated for super-critical accretion states. A key process is the effect of photon trapping, which is included in the radiative transfer equation. It is found that the local radiation spectrum emitted from the inner region has a typical Comptonized bremsstrahlung form, and deviates significantly from the blackbody and the modified blackbody spectrum. The spectral hardening factor of the local spectrum has a large radial dependence: it takes a value of ∼10 4 (inner region) and ∼3 (outer region). Owing to the effect of photon trapping, the emergent luminosity becomes small compared with the gravitational energy released through viscosity. The effect is remarkable for a large accretion rate and a spin parameter close to unity. In particular, for an extreme Kerr case with an accretion rate of 100L E d d /c 2 , where L E d d is the Eddington luminosity, the emergent luminosity is approximately 2 per cent of the released energy. A comparison with the standard model is also discussed for an accretion rate under the Eddington limit.