They didn't keep such things "at home". There was a special office called His Majesty's Own Cabinet. It belonged to the Ministry of Court and was located in the Nevsky Ave.-facing wing of the Anichkov Palace. One of its jobs was to accumulate and keep jewellery and other items to be presented by the imperial family as gifts on various occasions: from pocket watches with imperial monogram (usually given to servants, peasantry delegates etc.) to precious dinner services, Faberge works and other unique and expensive items intended for foreigh royals and local VIPs.