Yes, You have to take the ASVAB again and go through MEPS all over. Retake the oath and resubmit for a security clearance. You will lose certain medals and awards, like CAB and the rainbow ribbon, but coast guard will give you a Combat Action Ribbon instead. You keep the personal awards and medals like commendation medal or overseas service ribbon.DO I have to take the ASVAB again?
Army will want all there stuff back except for poly pros, and a few other consumable items. If I were you, I would lose the sleeping bag and pay for it because I miss my gortex sleeping bag.
Oh, and you may have to go through bootcamp again. Myself along with a prior marine were in bootcamp while a "pit stop" (like warrior transition I think) class was going on. Most likely you will be dropped to an E3 unless you can really convince them you're job carries over. I was an MP and they didn't let me take ME which I'm glad now because most MEs seem to think everyone are terrorists.
Coast Guard is also downsizing, so it may be quite a wait before you could even join.