From my answer to a related question:
If you're really concerned about your personal privacy, don't use
corporate resources for personal purposes. Most companies have
included in their Acceptable Use Policy or similar documentation, a
clause that specifically says you may be subject to monitoring and
have no expectation of privacy when using their systems. In many
jurisdictions, this means that they can do whatever they want to
observe and record your activities with or without your explicit
consent (generally, your consent is given implicitly upon your
agreement to the AUP) and/or knowledge - causing any retroactive
attempts at personal privacy to be futile and ineffective.
Case in point: At one former workplace, I heard of a user who decided
to do some, let's say, "very personal" web browsing on a company
laptop while he was on his home network. Apparently he was under some
delusion that whatever he did with the company's hardware was none of
their concern if he did it on his own Internet connection. To be safe
though, I'm sure he had some good history cleaning software in place
and in use. He was also technically savvy enough that he probably did
some manual cleaning of his own, periodically.
What he didn't know was that the company had monitoring software
installed locally and running in the background. This software would
record his Internet activities at all times, and relay the logs to the
corporate servers whenever the laptop was connected to the intranet.
You can imagine the resulting disciplinary actions when this occurred.
Long story short: If it's not business-related, don't do/keep it on a business computer.
Even regardless of what they are seeing or collecting in real-time, the fact remains that you will eventually have to turn the equipment back in - either for a hardware refresh, or as a part of your separation from their employment - and you may not necessarily have control over when and how that happens. At that point, they'll have access to anything you've stored unencrypted (or encrypted with company-provided tools) on the system. If they're using keyloggers or other monitoring software, they may even be able to break into things you encrypt yourself.
Bear also in mind that a malicious insider may still choose to do these things even if law or company policy prohibits this. If the company has the tools to monitor your activity, but is generally prevented by law or policy from doing so without cause, a malicious sysadmin may choose to ignore such restrictions and snoop on whatever it is you're doing on the system regardless. In an even more extreme scenario, it's always possible that a malicious sysadmin may do this with their own tools even if the company itself is not equipped to do so.
If it's not your system, don't trust it with your personal data.