1. Cut stalks from asparagus, leaving 2-inch-long tips.
2. Reserve asparagus stalks for another use, if desired.
3. Cook asparagus tips in large pot of boiling salted water until just crisp-tender, about 1 minute.
4. Drain.
5. Transfer asparagus to paper towels and drain well.
6. Mix goat cheese, basil, pine nuts, water and orange peel in small bowl to blend.
7. Season with salt and pepper.
8. Spread scant 1 teaspoon filling over each prosciutto strip.
9. Arrange 2 asparagus tips atop filling at 1 short end of prosciutto.
10. Roll up prosciutto, enclosing base of asparagus.
11. Press to seal.
12. Place on platter.
13. (Can be made 1 day ahead. Cover; chill.).