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Preheat oven to 400°F. Line a baking sheet with parchment paper and set aside.
In the bowl of a food processor, combine the Saputo Feta cheese, olive oil, 35% cream, garlic, lemon zest and juice, basil, and mint. Process until the mixture has the consistency of a thick pesto. Season with black pepper.
Set the salmon fillets on a working surface, face side down. Spread a thick layer of the Saputo Feta cheese mixture over each fillet. Place a few stalks of asparagus in the middle of each fillet, then roll the salmon around the asparagus. Transfer the rolls to the prepared baking sheet, seam side down. Season with black pepper.
Bake for 15 to 20 minutes, depending on the thickness of the salmon fillets, until the asparagus are tender and the centre of the rolls is hot.