Using ContentUrl to create file with ContentVersion in Salesforce

Hi folks — I'm using a raw JSON payload in the Salesforce API to generate a File using ContentVersion.

The payload is below, but it's only creating a "File" record without actually attaching the file. Any ideas on what I'm missing?

{
"ContentUrl":"https://www.example.com/example.pdf",
"Title":"Example PDF",
"OwnerId":"XXXXXXXX",
"ContentLocation":"s"
}