No, there are a string of others including your DS2019 form, proof of finances, and letter from your institution saying you are studying there (just to be on the safe side)
Check with your sponsor.

Thanks Flygirl.

Just one remark: the US embassy did hold everyting (forms, bank statement, proof of funding etc.) there. They just returned my passport with a closed letter (stamped on a way that I can't open it without being known).

My I20 form, bank statement, etcetera could be in that enveloppe. But I am not sure.

Does anyone know how to handle this?

No the only thing in that envelope is your DS2019 (or whatever the equivalent is under the F visa)

Chances are they won't ask for the other documentation (they didn't ask me) but I would definitely take it just in case (esp. if you come from a developing country). I have known people who have been detained and ask to show proof of income etc.

Ok, thanks! I'll take some documents with me!

Yes, the only thing in that envelope is your I20. I called the Embassy and they told me.

Indeed, it was the I-20.