Carrying out explicitly the computation in a paradigmatic model of non-interacting systems, the Gaussian Model, we show the existence of a singular point in the probability distribution $P(M)$ of an extensive variable $M$. Interpreting $P(M)$ as a thermodynamic potential of a dual system obtained from the original one by applying a constraint, we discuss how the non-analytical point of $P(M)$ is the counterpart of a phase-transition in the companion system. We show the generality of such mechanism by considering both the system in equilibrium or in the non-equilibrium state following a temperature quench.
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