Below is the response i got from my brokerage:
Step 1: Kindly submit the attached Change Request Form (CRF) at any of the nearest Branch.
Step 2: CRF is duly signed by all holders.
Step 3: Attach your bank proof
(For e.g. Personalized cancelled cheque, non-personalized cheque with self attested Bank statement with latest transaction)
Step 4: Also attach self attested Identity proof (of all the holders if any)
Further, we would like to inform you that as per the compliance guidelines for bank change hard copy of all documents required. Request to kindly submit/ courier the documents to nearest branch.
** Sending hard copies of all the doc is the only pain here.
** we can open NRE/NRO account from India itself before travelling abroad by providing all the docs. ICICI allows opening from US too.. I did that way too and it was pretty easy