In this paper, we present the progress made at SRON in the read-out of X-ray Transition Edge Sensor (TES) microcalorimeters under AC bias. The experiments reported so far, whose aim was to demonstrate an energy resolution of 2 eV at 6 keV with a TES acting as a modulator, were carried out at frequencies below 700 kHz using a standard flux locked loop SQUID read-out scheme. The TES read-out suffered from the use of suboptimal circuit components, large parasitic inductances, low quality factor resonators, and poor magnetic field shielding. We have developed a novel experimental set-up that allows us to test several read-out schemes in a single cryogenic run. In this set-up, the TES pixels from a GSFC array are coupled via superconducting transformers to 18 high-Q lithographic LC filters with resonant frequencies ranging between 2 and 5 MHz. The signal is amplified by a two-stage SQUID current sensor and baseband feedback is used to overcome the limited SQUID dynamic range. We measured an X-ray energy resolution of 3.6 eV at 1.4 MHz, which is consistent with the measured integrated Noise Equivalent Power.