Fill 13x9-inch (3-quart) glass baking dish half full with water and ice; set aside.
In 12-inch skillet, heat 1 inch water to boiling over high heat. Snap or cut off tough ends of asparagus spears. Add asparagus to boiling water; cook uncovered 2 to 3 minutes or until crisp-tender. Remove asparagus from skillet; place in baking dish with ice water. Let stand 3 to 5 minutes or until chilled. Drain; pat dry with paper towels. Set aside.
Meanwhile, in small bowl, mix mayonnaise, mustard and thyme.
Spread about 1 teaspoon mayonnaise mixture over each ham slice to within 1 inch of edges. Cut each ham slice in half lengthwise. Roll 1 ham strip tightly around each asparagus spear. Store tightly covered in refrigerator.