In April 1919, Grand Duchess Xenia, sister of the last tsar, was among the surviving Romanovs to escape from Russia on board the British battleship, HMS Marlborough. 
Within the previous nine months, 17 members of the imperial family had been murdered by revolutionaries. 
The tsar, tsarina and their five children had been shot in the Urals; the following day, six other Romanovs had been buried alive in a mine.

According to her mother, the dowager empress, Grand Duchess Xenia stood with her dog, Toby, weeping openly as the family gathered around a makeshift quay, ready to depart from Yalta. They were preparing to board the Marlborough and leave their homeland for ever: "What grief and desperation," the dowager wrote in her diary.

As the ship pulled away, Xenia gazed at the receding shoreline through binoculars. She spotted glittering objects on the beach. When she asked the Marlborough's dour captain what the objects were, he replied: "That, Madame, is your silver." The servants, fearing that they would be left behind, had refused to load the 40 caskets onto one of the smaller boats. When they realised they would escape after all, they decided to leave the caskets on the beach for those in Crimea left behind. At the time, Xenia barely registered the captain's unwelcome observation. She would, however, remember it 
in the lean times to come.

As the elder daughter of Tsar Alexander III, and sister of the future Nicholas II, Grand Duchess Xenia grew up amid the splendour of the Russian court. Two albums of her inventory 
of jewellery that Bonhams is offering as part of the Russian Sale, give an insight into the family's wealth. The albums catalogue the pieces and have sketches of the designs, including the Fabergé potato charm, a trinket issued to members of the 'Potato Society' at Gatchina Palace. Married aged 19 to Grand Duke Alexander Mikhailovich, her first cousin, Xenia received a million rouble dowry. For the wedding ceremony she wore a diamond necklace, a triple-row diamond bracelet and diamond earrings. It marked one of the last times that the Crown commissioned jewellery from the Treasury. However, her bejewelled wedding robe and headdress were so heavy that, when the big day came, the slight grand duchess found she could barely move.

Xenia, however, was no shrinking violet: she had an air of formidable defiance, evident in everything from her strong facial features to the way she stood. But her appearance belied her shyness and her dislike of pomp and ceremony. In fact, she found her glittering life in the pre-revolutionary Russian Court an ordeal. In 1903, she had to steel herself to attend the last grand ball at the Winter Palace, and again, ten years later, for the lengthy, and, as it turned out, ill-timed celebrations of 300 years of Romanov rule.

In common with her older brother, Nicholas, Xenia preferred life's simpler pleasures. Over the course of her marriage, she managed to bear and raise seven children as 
well as conduct several affairs. She had no qualms about shocking the servants as she somersaulted in the grounds 
with her six sons.

Reflecting her own upbringing – her tiny Danish mother and bear-like father were as fun-loving as they were formidable -– Xenia allowed her children a free rein. The young princes acquired a reputation for being wild, tripping up servants and throwing bread pellets at meal times. Vasilii was just six years old when he had to be carried away from his sister's wedding after drinking too much champagne.

It was in 1914 that Xenia's only daughter, the 19-year-old Princess Irina, married Prince Felix Yussupov. Xenia gave the bride her own emerald brooch with diamonds and rubies; she also bought her sapphires, three pearl sprays and a diamond chain from Cartier. The ceremony was held at one of the smaller palaces because relations between Xenia and her sister-in-law, the Tsarina Alexandra, had soured. At the root of the difficulties was the tsarina's attachment to Rasputin. Xenia and her mother disapproved of his increasing power at court. Relations deteriorated further when, two years later, Felix Yussupov murdered Rasputin. He had lured the so-called holy man to his palace, poisoned him, shot him and finally dumped him in the Neva river.

Four months after the murder, Russia was engulfed in revolution. Xenia and her sons, her mother and the young Yussupovs fled south to their palaces in the Crimea. 
There followed a surreal period of picnics and tennis 
parties interspersed with terrifying raids and worsening strictures. The movements of all the Romanovs were monitored; when one of 
the cousins married, Xenia and other guests had to watch the ceremony from behind a bush.

By the beginning of April 1919, the Bolsheviks were advancing to the coast. The Romanovs were told they must leave immediately or be killed. As the rescue battleship pulled away from Yalta, Xenia and the other Romanovs were issued with strangely prosaic certificates: "I certify that HIH Grand Duchess Xenia Alexandrovna left Russia in HMS Marlborough on the 11th of April 1919 (signed) Captain Johnson."

In exile, Xenia lived at Frogmore House, close to Windsor Castle, then at Wilderness House in Hampton Court. She resumed as many aspects of her former life as she could, enjoying a busy and unstuffy social life with visits from family and friends. These included Prince David Chavchavadze, who remembered her flicking cigarette butts into a small spittoon about four feet away: "She never missed once."

She did, however, have a continual struggle with her finances. Such jewellery as she managed to bring out of Russia rapidly diminished. Shortly after her arrival, she was conned into selling £10,000 worth of necklaces and bracelets by an unscrupulous American who persuaded her to invest in a printing enterprise. She also had no idea of how to handle money, having never done so at court. Her account at Harrods, for instance, proved a disaster: on her first shopping trip, she spent £98 – the equivalent today of £2,500.

But the bitterest pill must surely have been the reappearance of her own jewellery, confiscated from her by 
the Bolsheviks. In the early 1920s, pieces from her collection began to appear in London. On one painful occasion, Queen Mary produced a pink onyx Fabergé box designed to hold cards for patience, and asked Xenia what she thought of it. Xenia replied: "That used to be on my writing desk." Queen Mary, who was known for her acquisitive nature and not one 
to understand the concept 
of restitution, replaced the box in a cabinet without further comment.

Crucial members of Xenia's household staff included her devoted laundrywoman, Beloussoff, who kept a bag packed ready to return to St Petersburg. In 1938, Xenia also acquired a looming Russian mystic, Mother Martha, who, Rasputin-style, dominated her life and terrorised visitors to Hampton Court. According to James Pope-Hennessy, she wore a headscarf "of the tea cloth variety" and had "the face of a powerful elderly man". The young Princesses Elizabeth and Margaret both thought her feet too big and surmised that she was indeed a man. She was, in the words of one of Xenia's grandsons, Alexander Romanov, an "extremely controversial figure". After Xenia died in 1960, surrounded by adoring grandchildren, Mother Martha disappeared, taking with her the £500 she had been left by Grand Duchess Xenia from her surprisingly small legacy of £117,272 16 shillings and tuppence. Xenia did, however, still have her two jewellery albums, a souvenir 
of former times that she bequeathed to her children.

Frances Welch is the author of A Romanov Fantasy, published by Short Books.

Sale: The Russian Sale
New Bond Street
Wednesday 30 November at 2pm
Enquiries: Sophie Hamilton +44 (0) 20 7468 8334
[email protected]

www.bonhams.com/russian