If you have the 'HEADER' at the first line and 'TRAILER' at the last line in all your files you can delete the those lines after merging the files with:

First we use a variable var wich is the number of the last line (wc -l < file).
Now we print every line except the line with HEADER if it isn't the first line and the line with TRAILER if it isn't the last line.

Regards