The official Microsoft answer to “how do you migrate to a new connection broker” involves setting up High Availability, which requires the use of SQL Server and may be too complex for your scenario.
But it's also possible to simply remove the session host from one collection, remove it from the deployment (and delete the deployment if it's the last member), and then just add it to a new collection on a different connection broker. Following is the procedure to do that.
I'm assuming you will test this in a non-production environment. It worked when I tried it, but I can't guarantee that it will work for you.
Assumptions: collection1 is the old one, collection2 is the new one