HEI ammunition transforms half its of its Damage Rolls into BURN-DMG, acts as a S. EXP. (see: Frag Rules), but is limited to never more than 1 PEN.
High explosive compounds can be added to incendiary bullets, creating the infamous HEI ammunition, which detonates on impact sending hot shrapnel everywhere. These are most commonly used in ground vehicle autocannons, whose ammunition can actually accomodate a significant explosive charge.