Thanks glilienfield.
In my first test I have didn't created any index because I was thinking that it will not make any difference because it is an insert. But I forgot that it is a merg so, it first check if it exist so the index make difference.
After your messagem I created the index and it works better. Now I will try to load more data from 1.000.000 to 20.000.000
Regards, Igor Martins