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Step 1
Preheat the oven to 400 degrees F. Place a wire rack over a sheet pan.
Step 2
Trim or snap off the woody bottoms of the asparagus spears.
Step 3
Open the package of phyllo dough. Cut the sheets in half and reserve. Brush a half sheet of phyllo with melted butter and place another piece on top. Place a slice of prosciutto on top of the phyllo and place an asparagus spear on top perpendicular to the phyllo and prosciutto. Sprinkle the phyllo sheet with a little goat cheese and a pinch each of salt and black pepper. Roll up the phyllo and seal the edge with a tiny bit of butter. Brush with a touch more butter and place on the rack over the sheet pan. Repeat until all the spears are wrapped.
Step 4
Give one final brush of butter to all the wrapped spears. (You can refrigerate them for up to 2 days if you don’t want to cook them immediately.)
Step 5
Bake the wrapped spears until the phyllo is golden brown, 10 to 12 minutes. Serve them warm! These reheat well in an air fryer.