cd /DATA/CSV_FILES                      # change dir
for i in *.csv                          # loop for all files with .csv extension
  do if [ -f "$i" ]                     # if regular file
       then sed "s/^/$i,/" "$i" > temp  # prefix every line with respective file name
            sed 's/.*/&,/' temp >temp2  # suffix every line with comma
     fi
  cat temp2                             # list the file to stdout
  done > output.txt                     # redirect all above (= every .csv prefixed) to file 
rm -f temp*                             # remove tmp files