DataFrame.loc[] loses index name
```
In [1]: from pandas import DataFrame

In [2]: x = DataFrame([[1, 1], [1, 1]])

In [3]: x.index.name = 'index_name'

In [4]: x.iloc[[0, 1]].index.name
Out[4]: 'index_name'

In [5]: x.loc[[0, 1]].index.name

In [6]: x.loc[[0, 1]].index.name is None
Out[6]: True
```
