Just tried it out and I noticed I was wrong. There are new GameMode and GameState created when switching the level aswell. But you can store it in a GameInstance object.
Create a new GameInstance object: Rightclick on Content Browser -> New Blueprint Class -> Search for Game Instance and press select. Now make sure your game uses your newly created GameInstance object. Go to Edit->Project Settings->Maps & Modes-> Game Instance.
Open your GameInstance object and create the following nodes:
Afterwards you can open a new level in your FPC class:
