  We present an exact closed form expression for the {\em finite temperature}
first-order density matrix of a harmonically trapped ideal Fermi gas in any
dimension. This constitutes a much sought after generalization of the recent
results in the literature, where exact expressions have been limited to
quantities derived from the {\em diagonal} first-order density matrix. We
compare our exact results with the Thomas-Fermi approximation (TFA) and
demonstrate numerically that the TFA provides an excellent description of the
first-order density matrix in the large-N limit. As an interesting application,
we derive a closed form expression for the finite temperature Hartree-Fock
exchange energy of a two-dimensional parabolically confined quantum dot. We
numerically test this exact result against the 2D TF exchange functional, and
comment on the applicability of the local-density approximation (LDA) to the
exchange energy of an inhomogeneous 2D Fermi gas.
