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Bring a pan of salted water to the boil, tip in the asparagus and cook for 2 mins until just tender. Drain well. Quarter each slice of ham, into 4 shorter strips, then wrap one around the middle of each asparagus spear. Mix the mayo with the lemon zest and juice and a little pepper and put in a small bowl. Serve with the asparagus, warm or cold, for dipping.