I have two lots of HXP 77, one with red paint filling in the lettering, the other without. Magnets stick directly to the bullets in both. While copper and other metals have slight reactions to magnetic fields (copper is actually repelled a tiny bit by either pole, IIRC), readily magnetic alloys all contain iron, nickel, or cobalt. Often a combination of those is in use in specialty transformer core materials. However, when it comes to bullets, in raw material terms, cobalt is currently $13.83/lb, nickel is currently $8.45/lb, and iron pellets from ore are currently $0.064/lb. So, given that information, I expect you can guess which one of those three is most likely to be found in ball ammo projectiles.
Because of the above, if you have a magnet stick to a ball ammo bullet, it is safe to say there is some form of iron in it. Without dissection, you may be unable to tell whether its got a copper plated soft steel jacket (most common) or a steel penetrator inside. But, either way, if it has iron in it, it can make sparks.
I did pull a a similar bullet off some S&B surplus originally made on contract for South Africa in 1982. I set it into some KG-12 and etched all the copper off, revealing the steel jacket. It mic'd 0.308" before etching, and 0.304" after etching, so the plating was 0.002" thick. I don't know if that's typical, but I don't know why it wouldn't be, either.