# Imports
import functools as ft
import pandas as pd

df1 = pd.DataFrame({'X': {0: 'a', 1: 'b', 2: 'z'},
                    'B': {0: 0, 1: 4, 2: 3},
                    'C': {0: 2, 1: 9, 2: 0}
                  })

df2 = pd.DataFrame({'X': {0: 'a', 1: 'b', 2: 'z'},
                   'B': {0: 0, 1: 8, 2: 6},
                   'C': {0: 4, 1: 18, 2: 0}
                  })

df3 = pd.DataFrame({'X': {0: 'a', 1: 'b', 2: 'z'},
                   'B': {0: 12, 1: 0, 2: 4},
                   'C': {0: 3, 1: 9, 2: 2}
                  })

dfs = [df1,df2,df3]

# Merge the DataFrames
merged = ft.reduce(lambda left,right: pd.merge(left,right,on='X'), dfs).set_index('X')

first_index = []
second_index = []

for i in range(len(dfs)):
    f_val = "{}{}".format("F", i+1)
    first_index.extend((f_val, f_val))
    second_index.extend(("B", "C"))

# Create a MultiIndex
arrays = [first_index, second_index]
columns = pd.MultiIndex.from_arrays(arrays)

# Create your DataFrame
df = pd.DataFrame(data=merged.as_matrix(),
                  columns=columns,
                  index = dfs[0]['X'])