Here we investigate simulated changes in the precipitation climate over the Baltic Sea and surrounding land areas for the period 2071-2100 as compared to 1961-1990. We analyze precipitation in 10 regional climate models taking part in the European PRUDENCE project. Forced by the same global driving climate model, the mean of the regional climate model simulations captures the observed climatological precipitation over the Baltic Sea runoff land area to within 15% in each month, while single regional models have errors up to 25%. In the future climate, the precipitation is projected to increase in the Baltic Sea area, especially during winter. During summer increased precipitation in the north is contrasted with a decrease in the south of this region. Over the Baltic Sea itself the future change in the seasonal cycle of precipitation is markedly different in the regional climate model simulations. We show that the sea surface temperatures have a profound impact on the simulated hydrological cycle over the Baltic Sea. The driving global climate model used in the common experiment projects a very strong regional increase in summertime sea surface temperature, leading to a significant increase in precipitation. In addition to the common experiment some regional models have been forced by either a different set of Baltic Sea surface temperatures, lateral boundary conditions from another global climate model, a different emission scenario, or different initial conditions. We make use of the large number of experiments in the PRUDENCE project, providing an ensemble consisting of more than 25 realizations of climate change, to illustrate sources of uncertainties in climate change projections.