The standard incendiary round used by Agency personnel is a white phosphorus (WP) round; while it doesn't have the same armor-piercing capability, the ability to shower white-hot fragments that won't stop burning and obscure your enemy's vision is generally worth the added cost. They cost twice as much as standard ammunition and can be sized for weapons down to 10mm.
An experimental round is also available, currently only for the XB-PW101 'Solo' Heavy Pistol and the XB-PW201 'Kirk' Magnum Pistol; the plasma warhead bullet, essentially a one-shot power cartridge that compresses a pellet of hydrogen fuel, then releases it as a blast of ionized plasma. These weapons are often confused with energy weapons, with explosively shocking burning results. Isn't science grand? These cost ten times as much as similarly sized regular ammunition.